• Termination of Volatility Quoted Options on Foreign Exchange Futures

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6696
      • Notice Date
      • 17 June 2013
      • Effective Date
      • 23 June 2013
    • Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is amending the trading rules and regulations to eliminate volatility quoted price increments for options on the Exchange’s six major currency futures (i.e., the Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc versus the U.S. dollar), the options on the three onshore Chinese renminbi futures (versus the U.S. dollar, Euro, and Japanese yen), and the option on the Korean won/U.S. dollar futures.
       
      Pending relevant regulatory review periods, these modifications will become effective on Sunday, June 23, 2013 for trade date Monday, June 24, 2013. CME will apply these amendments to all option expiries as of the effective date.
                                            
      Attachments 1-10 summarize the amendments to CME Rules 251A01.C., 252A01.C., 253A01.C., 254A01.C., 255A01.C., 261A01.C., 270A01.C., 271A01.C., 318A01.C., and 319A01.C.
       
      These options are listed by and subject to the rules of CME.
       
      Please direct questions regarding this notice to:
       
      Europe
      Will Patrick                              +44 20 3379 3721                   Will.Patrick@cmegroup.com
      Malcolm Baker                       +44 20 3379 3863                   Malcolm.Baker@cmegroup.com
                                                     
      U.S.
      Craig LeVeille                          +1 312 454 5301                     Craig.LeVeille@cmegroup.com
      Simon Burnham                      +1 312 930 3426                     Simon.Burnham@cmegroup.com
      Kevin McMillin                        +1 312 930 8264                     Kevin.McMillin@cmegroup.com
       


      Attachment 1
       
      Revised Rules to
      Options on British Pound Sterling/U.S. Dollar (“GBP/USD”) Futures
      Chapter 251A: Options on British Pound Sterling/U.S. Dollar (“GBP/USD”) Futures
       
      251A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per British pound sterling. Each $0.0001 per British pound sterling (one point) shall represent $6.25. For example, a quote of .0070 represents an option price of $437.50 (70 points x $6.25 per point) of premium. The minimum fluctuation shall be one point (also known as one tick).
       


      Attachment 2
       
      Revised Rules to
      Options on Canadian Dollar/U.S. Dollar (“CAD/USD”) Futures
      Chapter 252A: Options on Canadian Dollar/U.S. Dollar (“CAD/USD”) Futures
       
      252A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Canadian dollar. Each $0.0001 per Canadian dollar (one point) shall represent $10.00. For example, a quote of .0075 represents an option price of $750.00 (75 points x $10.00 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($5, also known as one-half tick), $.00015 ($15, also known as one and one-half ticks), $.00025 ($25, also known as two and one-half ticks), $.00035 ($35, also known as three and one-half ticks), and $.00045 ($45, also known as four and one-half ticks).


      Attachment 3
       
      Revised Rules to
      Options on Japanese Yen/U.S. Dollar (“JPY/USD”) Futures
      Chapter 253A: Options on Japanese Yen/U.S. Dollar (“JPY/USD”) Futures
       
      253A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Japanese yen. Each $0.000001 per Japanese yen (one point) shall represent $12.50. For example, a quote of .000075 represents an option price of $937.50 (75 points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.0000005 ($6.25, also known as one-half tick), $.0000015 ($18.75, also known as one and one-half ticks), $.0000025 ($31.25, also known as two and one-half ticks), $.0000035 ($43.75, also known as three and one-half ticks), and $.0000045 ($56.25, also known as four and one-half ticks).


      Attachment 4
       
      Revised Rules to
      Options on Swiss Franc/U.S. Dollar (“CHF/USD”) Futures
      Chapter 254A: Options on Swiss Franc/U.S. Dollar (“CHF/USD”) Futures
       
      254A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Swiss franc. Each $0.0001 per Swiss franc (one point) shall represent $12.50. For example, a quote of .0075 represents an option price of $937.50 (75 points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($6.25, also known as one-half tick), $.00015 ($18.75, also known as one and one-half ticks), $.00025 ($31.25, also known as two and one-half ticks), $.00035 ($43.75, also known as three and one-half ticks), and $.00045 ($56.25, also known as four and one-half ticks).


      Attachment 5
       
      Revised Rules to
      Options on Australian Dollar/U.S. Dollar (“AUD/USD”) Futures
      Chapter 255A: Options on Australian Dollar/U.S. Dollar (“AUD/USD”) Futures
       
      255A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Australian dollar. Each $0.0001 per Australian dollar (one point) shall represent $10.00. For example, a quote of .0075 represents an option price of $750.00 (75 points x $10.00 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($5, also known as one-half tick), $.00015 ($15, also known as one and one-half ticks), $.00025 ($25, also known as two and one-half ticks), $.00035 ($35, also known as three and one-half ticks), and $.00045 ($45, also known as four and one-half ticks).


      Attachment 6
       
      Revised Rules to
      Options on Euro/U.S. Dollar (“EUR/USD”) Futures
      Chapter 261A: Options on Euro/U.S. Dollar (“EUR/USD”) Futures
       
      261A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Euro. Each $0.0001 per Euro (one point) shall represent $12.50. For example, a quote of .0075 represents an option price of $937.50 (75 points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($6.25, also known as one-half tick), $.00015 ($18.75, also known as one and one-half ticks), $.00025 ($31.25, also known as two and one-half ticks), $.00035 ($43.75, also known as three and one-half ticks), and $.00045 ($56.25, also known as four and one-half ticks).


      Attachment 7
       
      Revised Rules to
      Options on Chinese Renminbi/U.S. Dollar (“RMB/USD”) Futures
      Chapter 270A: Options on Chinese Renminbi/U.S. Dollar (“RMB/USD”) Futures
       
      270A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Chinese renminbi. Each $.00001 per Chinese renminbi (one point x $10 per point) shall represent $10.00. For example, a quote of .00065 represents an option price of $650.00 (65 points x $10.00 per point). The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.000005 ($5.00, also known as one-half tick), $.000015 ($15.00), $.000025 ($25.00), $.000035 ($35.00), $.000045 ($45.00), which are less than 5 ticks of premium).


      Attachment 8
       
      Revised Rules to
      Options on Korean Won/U.S. Dollar (“KRW/USD”) Futures
      Chapter 271A: Options on Korean Won/U.S. Dollar (“KRW/USD”) Futures
       
      271A01.C.         Price Increments
      The price of an option shall be quoted in U.S. dollars per Korean won. Each $.0000001 per Korean won (one point) shall represent $12.50. For example, a quote of .0000063 represents an option price of $787.50 (63 points x $12.50 per point). The minimum fluctuation shall be one point (also known as one tick).


      Attachment 9
       
      Revised Rules to
      Options on Chinese Renminbi/Euro (“RMB/EUR”) Cross Rate Futures
      Chapter 318A: Options on Chinese Renminbi/Euro (“RMB/EUR”) Cross Rate Futures
       
      318A01.C.         Price Increments
      The price of an option shall be quoted in Euro per Chinese renminbi. Each .00001 Euro per Chinese renminbi (one point x €10.00 per point) shall represent 10 Euro. For example, a quote of .00065 represents an option price of €650.00 (65 points x €10.00 per point). The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of €.000005 (€5.00, also known as one-half tick), €0.000015 (€15.00), €0.000025 (€25.00), €0.000035 (€35.00), €0.000045 (€45.00), which are less than 5 ticks of premium).


      Attachment 10
       
      Revised Rules to
      Options on Chinese Renminbi/Japanese Yen (“RMB/JPY”) Cross Rate Futures
      Chapter 319A: Options on Chinese Renminbi/Japanese Yen (“RMB/JPY”) Cross Rate Futures
       
      319A01.C.         Price Increments
      The price of an option shall be quoted in Japanese yen per Chinese renminbi. Each .001 Japanese yen per Chinese renminbi (one point x ¥1,000 per point) shall represent 1,000 Japanese yen. For example, a quote of .065 represents an option price of ¥65,000 (65 points x ¥1,000 per point). The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of ¥.0005 (¥500, also known as one-half tick), ¥0.0015 (¥1,500), ¥0.0025 (¥2,500), ¥0.0035 (¥3,500), ¥0.0045 (¥4,500), which are less than 5 ticks of premium).

       

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